The Predictability of House Prices
AbstractThe level and direction of autocorrelation in house price movements differ across areas and change over time. This finding reconciles the conflicting reports in the literature. When quarterly house price indices exhibit negative autocorrelation, autocorrelation shows a positive connection to volatility and a negative connection to rate of return. Autocorrelation between longer time periods is mainly positive; it exhibits a negative relationship with volatility and a positive relationship with rate of return. Volatile house price indices tend to have lower rates of return. It would be possible to obtain excess returns by following a trading strategy based on the estimated autocorrelation.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal Journal of Real Estate Research.
Volume (Year): 24 (2002)
Issue (Month): 3 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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